Warnock, signed from Aston Villa on a free transfer in January, kept his cool to ram home a 72nd-minute penalty after McCormack had seen his 28th-minute spot-kick turned on to a post by David Forde.
“I didn’t want Ross to take the second penalty and put extra pressure on himself after missing the first,” said Warnock.
“I was going to send El-Hadji Diouf on to take it, but Stephen wanted to take it straightaway and he told me he’d taken them before.”
Millwall manager Kenny Jackett had no complaints over the two penalty awards to Leeds, but claimed the Lions should have had a spot-kick of their own.
He said: “My first impressions are that we couldn’t complain about either of Leeds’ penalties, but I felt we had a clear-cut penalty when Danny Shittu headed the ball down, Sam Byram had his hand by the side of his body and clearly handled it as the ball was going through to my centre-forward, so I thought the referee got that call wrong.
“David Forde made a good save from the first penalty and he is in top form at present. We had big chances, but Paddy Kenny pulled off two very good saves for them and Shane Lowry hooked one over from about seven yards, so we were unfortunate to come away with nothing.”
Leeds remain in the play-off hunt as a result of their eighth win in nine home league games, but face a tricky week on the road that could prove crucial.
Warnock added: “It was all about getting three points. It was a must-win before going away to Leicester and Crystal Palace and we deserved it, though we could have made it easier for ourselves.”
Castleford-born Martyn Woolford twice went near for Millwall before setting up James Henry who shot against the near post in the 13th minute.
McCormack’s missed penalty came after Byram was brought down by Woolford, and the striker also clipped a post.
McCormack was also guilty of a poor first touch and tame shot from Luke Varney’s cut-back, but when the Scot was brought down by Alan Dunne inside the area, Warnock’s powerful left-footed penalty gave Forde no chance.
Leeds United: Kenny, Byram, Lees, Peltier, Warnock, Norris (Brown 75), Green, Tonge, McCormack (Diouf 75), Morison, Varney (Pearce 90). Unused substitutes: Ashdown, White, Habibou, Hall.
Millwall: Forde, Dunne, Shittu, Beevers, Lowry, Henry, Wright (Saville 84), Abdou, Woolford, Marquis (Keogh 67), Afobe (Tyson 67). Unused substitutes: Maik Taylor, Chris Taylor, Adam Smith, Osborne. Booked: Beevers, Dunne, Lowry.
Referee: M Jones (Cheshire).
Man of the match: Paul Green.